论文标题
不完整市场的期望和价格
Expectation and Price in Incomplete Markets
论文作者
论文摘要
风险中立的定价表明，折现的衍生品价格是一项相当于经济措施的措施。在此基于基于投资组合风险的优化之后，根据经济措施从经济措施中最大程度地减少了经济措施的价格衡量标准的熵，但在这里解决了不完整市场的剩余歧义。该方法说明了市场和资助凸度，并结合了可用的价格信息，并根据期望和复制在方法之间进行插值。
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price measure from the economic measure, subject to mark-to-market constraints, following arguments based on the optimisation of portfolio risk. The approach accounts for market and funding convexities and incorporates available price information, interpolating between methodologies based on expectation and replication.
